i) What is the procedure to find 90% daily Value-at-Risk (VaR) of stock C using historical simulation? What is the 90% daily Value-at-Risk (VaR) of an $1million investment in stock C?

ii) What is the 90% daily Expected Shortfall of an $1million investment in stock C? What are the advantages of Expected Shortfall over Value-at-Risk?

b) The following shows a historical return series of Stock C. Day Day Daily Return of Stock C 11 1 2 3 4 5 6 7 8 9 10 Daily Return of Stock C 12.0% 12.0% -8.0% -2.0% 2.0% 4.0% -2.0% 5.0% 9.0% 28.0% 12 13 14 15 16 17 18 9.0% 16.0% -1.0% 7.0% 19.0% 4.0% 14.0% 11.0% 11.0% 11.0% 19 20 b) The following shows a historical return series of Stock C. Day Day Daily Return of Stock C 11 1 2 3 4 5 6 7 8 9 10 Daily Return of Stock C 12.0% 12.0% -8.0% -2.0% 2.0% 4.0% -2.0% 5.0% 9.0% 28.0% 12 13 14 15 16 17 18 9.0% 16.0% -1.0% 7.0% 19.0% 4.0% 14.0% 11.0% 11.0% 11.0% 19 20